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The Econometric Modelling of Financi...

Mills, Terence C.

The Econometric Modelling of Financial Time Series.

Record Type:	Electronic resources : Monograph/item
Title/Author:	The Econometric Modelling of Financial Time Series./
Author:	Mills, Terence C.
Published:	Cambridge :Cambridge University Press, : 1999.,
Description:	380 p.
Subject:	Finance.; Stochastic processes. -
Online resource:	Click here to view book
ISBN:	9780511754128 (electronic bk.)

The Econometric Modelling of Financial Time Series.
Mills, Terence C.

The Econometric Modelling of Financial Time Series.[electronic resource]. - Cambridge :Cambridge University Press,1999. - 380 p.

Contents; Preface to the second edition; 1 Introduction; 2 Univariate linear stochastic models: basic concepts; 2.1 Stochastic processes, ergodicity and stationarity; 2.2 Stochastic difference equations; 2.3 ARMA processes; 2.4 Linear stochastic processes; 2.5 ARMA model building; 2.6 Non-stationary processes and ARIMA models; 2.7 ARIMA modelling; 2.8 Forecasting using ARIMA models; 3 Univariate linear stochastic models: further topics; 3.1 Determining the order of integration of a time series; 3.2 Decomposing time series: unobserved component models and signal extraction

Fully revised and updated, the second edition of the best-selling The Econometric Modelling of Financial Time Series provides comprehensive coverage of the variety of models currently used in the empirical analysis of financial markets. Data appendix available online at www.lboro.ac.uk/departments/ec/cup

Electronic reproduction.

Available via World Wide Web.

Mode of access: World Wide Web.

ISBN: 9780511754128 (electronic bk.)Subjects--Topical Terms:

276210
Finance.; Stochastic processes.
Index Terms--Genre/Form:

96803
Electronic books.

LC Class. No.: HG174 .M55 1999eb

Dewey Class. No.: 332.015195

The Econometric Modelling of Financial Time Series.
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100 1 $a Mills, Terence C. $3 235344
245 1 4 $a The Econometric Modelling of Financial Time Series. $h [electronic resource].
260 $a Cambridge : $c 1999. $b Cambridge University Press,
300 $a 380 p.
505 0 $a Contents; Preface to the second edition; 1 Introduction; 2 Univariate linear stochastic models: basic concepts; 2.1 Stochastic processes, ergodicity and stationarity; 2.2 Stochastic difference equations; 2.3 ARMA processes; 2.4 Linear stochastic processes; 2.5 ARMA model building; 2.6 Non-stationary processes and ARIMA models; 2.7 ARIMA modelling; 2.8 Forecasting using ARIMA models; 3 Univariate linear stochastic models: further topics; 3.1 Determining the order of integration of a time series; 3.2 Decomposing time series: unobserved component models and signal extraction
505 8 $a 3.3 Measures of persistence and trend reversion3.4 Fractional integration and long memory processes; 4 Univariate non-linear stochastic models; 4.1 Martingales, random walks and non-linearity; 4.2 Testing the random walk hypothesis; 4.3 Stochastic volatility; 4.4 ARCH processes; 4.5 Other non-linear univariate models; 4.6 Testing for non-linearity; 5 Modelling return distributions; 5.1 Descriptive analysis of three returns series; 5.2 Two
520 $a Fully revised and updated, the second edition of the best-selling The Econometric Modelling of Financial Time Series provides comprehensive coverage of the variety of models currently used in the empirical analysis of financial markets. Data appendix available online at www.lboro.ac.uk/departments/ec/cup
533 $a Electronic reproduction. $n Available via World Wide Web.
538 $a Mode of access: World Wide Web.
650 4 $a Finance.; Stochastic processes. $3 276210
655 7 $a Electronic books. $2 local. $3 96803
710 2 $a Ebooks Corporation. $3 197505
776 1 $z 9780521624138
856 4 0 $z Click here to view book $u http://ebooks.cambridge.org/ebook.jsf?bid=CBO9780511754128

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